Description
Local Times and Excursion Theory for Brownian Motion, 2013
A Tale of Wiener and Itô Measures
Lecture Notes in Mathematics Series, Vol. 2088
Authors: Yen Ju-Yi, Yor Marc
Language: EnglishSubject for Local Times and Excursion Theory for Brownian Motion:
135 p. · 15.5x23.5 cm · Paperback
Description
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This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.
Prerequisites.- Local times of continuous semimartingales.- Excursion theory for Brownian paths.- Some applications of Excursion Theory.- Index.